The improved Semi-parametric Markov switching models for predicting Stocks Prices

الموضوعات :

Hossein Naderi ¹ ( Department of Accounting, Ilam Branch, Islamic Azad University, Ilam, Iran )
Mehrdad Ghanbari ² ( Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran. )
Babak Jamshidi Navid ³ ( Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran. )
Arash Nademi ⁴ ( Department of Statistics, Ilam Branch, Islamic Azad University , Ilam, Iran. )

تاريخ الإرسال : 05 الأربعاء , رجب, 1442 تاريخ التأكيد : 13 الثلاثاء , ربيع الأول, 1443 تاريخ الإصدار : 16 الإثنين , شعبان, 1445

الکلمات المفتاحية: EM Algorithm, Markov Switching Models, Kernel function, Strategies for buying and selling,

ملخص المقالة :

The modelling of strategies for buying and selling in Stock Market Investment have been the object of numerous advances and uses in economic studies, both theoretically and empirically. One of the popular models in economic studies is applying the Semi-parametric Markov Switching models for forecasting the time series observations based on stock prices. The Semi-parametric Markov Switching models for these models are a class of popular methods that have been used extensively by researchers to increase the accuracy of fitting processes. The main part of these models is based on kernel and core functions. Despite of existence of many kernel and core functions that are capable in applications for forecasting the stock prices, there is a widely use of Gaussian kernel and exponential core function in these models. But there is a question if other types of kernel and core functions can be used in these models. This paper tries to introduce the other kernel and core functions can be offered for good fitting of the financial data. We first test three popular kernel and four core functions to find the best one and then offer the new strategy of buying and selling stocks by the best selection on these functions for real data.

المصادر:


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